Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing
研究不完全市场中，借贷约束和交易成本如何影响风险分担和股权溢价，发现交易成本或资产数量限制是产生显著股权溢价的关键。
The authors examine an economy with aggregate and idiosyncratic income risk in which agents cannot contract on future labor income. Agents trade financial securities to buffer idiosyncratic shocks but the extent of trade is limited by borrowing constraints and transactions costs. The effect of frictions on the equity premium is decomposed into two components: a direct effect due to the equation of net-of-costs margins and an indirect effect due to increased consumption volatility. Simulations suggest that the direct effect dominates and that the model predicts a sizable equity premium only if costs are large or the quantity of tradable assets is limited. Copyright 1996 by University of Chicago Press.